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    题名: Theoretical and empirical analysis of options in open market share repurchases of Taiwan companies
    作者: 林士貴
    Lin, Shih-Kuei
    Tsai, Pei-Ling;Hsu, Yuan-Lin;Chih, Hsiang-Hsuan
    贡献者: 金融系
    关键词: Open market share repurchases;Regulatory price range restriction;Exchange option;Option portfolio
    日期: 2022-09
    上传时间: 2022-12-27 10:45:53 (UTC+8)
    摘要: This paper derives option pricing models to formulize the flexibility and conditions that managers have in open market share repurchase programs in Taiwan. We extend the exchange option model by including the regulatory price range restriction and the purpose of the share repurchase. We propose the exchange option model (with price range constraints) and the option portfolio model. The simulated and empirical results show that the market reaction is lower than that in the model of Ikenberry and Vermaelen (1996). The price range constraint may block the market reaction when stock prices are volatile. In addition, investors may pay less attention to the repurchase purpose of returning buyback shares to employees, since there will be a small impact on price. Furthermore, we find that the stock volatility has a significant negative impact on the market reaction to the announcements of the share repurchases.
    關聯: International Review of Economics and Finance, Vol.81, pp.205-226
    数据类型: article
    DOI 連結: https://doi.org/10.1016/j.iref.2022.03.012
    DOI: 10.1016/j.iref.2022.03.012
    显示于类别:[金融學系] 期刊論文

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